Exfoliated graphite samples (EG) with different bulk densities were prepared by the exfoliation of expandable graphite under a thermal shock regime. As a conductive filler, EG has been incorporated successfully into the coal tar pitch matrix by mechanical mixing. The conducting behavior of the composite was interpreted based on the percolation theory. The percolation threshold of the EG/pitch conducting composites at room temperature was as low as 1.5 wt% and did not depend on the bulk density of the EG used. By means of thermogravimetry the improvement of thermal stability of the composites in comparison with pure pitches was detected. The phenomenon was ascribed to heat shielding effect of the EG particles evidenced by matrix-assisted laser desorption/ionization mass spectrometry.